JB - it's easy-peasy - just extrude your first part and leave the insert as a 'gaping hole' then extrude the insert in the 'gaping hole' and unselect "merge result". You will be left with a part that has a segmented body with the surfaces perfectly bonded (this may NOT be what you really want) and can apply forces/constraints and FEA to your heart's content.

In the simulation study tree you have to expand the +Parts and there you will have the two separate bodies as you defined them in the model, and each one can be assigned with a material from the database with right click button.

When I start simulationxpress, I get a message saying that SW only supports one body for analysis. It might just be the version of SW I have (SW 2013), or it could be that I only have the basic license.